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  • Search: subject:"fractional integration."
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Year of publication
Subject
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fractional integration 504 Zeitreihenanalyse 330 Time series analysis 312 Fractional integration 304 Schätzung 213 Estimation 195 long memory 169 persistence 126 Theorie 124 Theory 111 Kointegration 97 Cointegration 95 Fractional Integration 92 Long memory 90 USA 71 ARMA-Modell 67 Volatility 67 ARMA model 66 Persistence 65 Volatilität 64 Einheitswurzeltest 59 Strukturbruch 59 Unit root test 58 Schätztheorie 55 Estimation theory 54 Großbritannien 54 Structural break 53 Aktienmarkt 51 Stock market 51 United Kingdom 51 United States 50 Inflation 49 fractional cointegration 45 Börsenkurs 42 Long Memory 40 Share price 39 EU-Staaten 36 Unemployment 35 Welt 35 World 35
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Online availability
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Free 643 Undetermined 243 CC license 13
Type of publication
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Book / Working Paper 598 Article 374 Other 1
Type of publication (narrower categories)
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Working Paper 325 Article in journal 242 Aufsatz in Zeitschrift 242 Graue Literatur 149 Non-commercial literature 149 Arbeitspapier 147 Article 13 research-article 6 Hochschulschrift 2 Aufsatz im Buch 1 Aufsatzsammlung 1 Book section 1 Collection of articles of several authors 1 Collection of articles written by one author 1 Conference paper 1 Konferenzbeitrag 1 Sammelwerk 1 Sammlung 1 Thesis 1 technical-paper 1
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Language
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English 708 Undetermined 258 German 3 Hungarian 1 Lithuanian 1 Russian 1 Spanish 1
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Author
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Caporale, Guglielmo Maria 300 Gil-Alaña, Luis A. 297 Gil-Alana, Luis A. 109 Nielsen, Morten Ørregaard 43 Plastun, Alex 25 Carcel, Hector 24 Gil-Alana, Luis Alberiko 20 Gupta, Rangan 20 Sibbertsen, Philipp 20 Abakah, Emmanuel Joel Aikins 18 Gil-Alana, Luis 17 Ozdemir, Zeynel Abidin 17 Lovcha, Yuliya 16 Cuestas, Juan Carlos 15 Ooms, Marius 15 You, Kefei 15 Koopman, Siem Jan 14 Nautz, Dieter 14 Poza, Carlos 14 McAleer, Michael 13 Coleman, Simeon 12 Johansen, Søren 12 Barros, Carlos Pestana 11 Cavaliere, Giuseppe 11 Tansel, Aysit 11 Taylor, Robert 11 Yaya, OlaOluwa S. 11 Balcilar, Mehmet 10 Caporale, GM 10 Chang, Chia-Lin 10 Hassler, Uwe 10 Infante, Juan 10 Gil-Alana, LA 9 Lucas, André 9 Meller, Barbara 9 Monge González, Manuel 9 Shimotsu, Katsumi 9 Trani, Tommaso 9 Bos, Charles S. 8 Canarella, Giorgio 8
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Institution
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School of Economics and Management, University of Aarhus 25 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 16 CESifo 15 Economics Department, Queen's University 13 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 13 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 Cowles Foundation for Research in Economics, Yale University 7 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 6 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 6 Nottingham Trent University, Nottingham Business School, Economics Division 6 Department of Economics, Faculty of Economic and Management Sciences 5 EconWPA 5 Erasmus University Rotterdam, Econometric Institute 5 HAL 5 Tinbergen Instituut 5 Department of Economics and Business, Universitat Pompeu Fabra 4 Department of Economics, University of Sheffield 4 School of Economics and Business Administration, University of Navarra 4 Tinbergen Institute 4 Wirtschaftswissenschaftliche Fakultät, Universität Regensburg 4 Department of Economics and Finance, College of Business and Economics 3 Department of Economics, Boston University 3 Department of Economics, Management School 3 Fachbereich Wirtschaftswissenschaft, Freie Universität Berlin 3 Facultat d'Economia i Empresa, Universitat de Barcelona 3 Instituto Valenciano de Investigaciones Económicas (IVIE) 3 London School of Economics (LSE) 3 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 3 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 3 Bank of Japan 2 Barcelona Graduate School of Economics (Barcelona GSE) 2 Departamento de Economía, Pontificia Universidad Católica del Perú 2 Department of Economics, Boston College 2 Department of Economics, Rutgers University-New Brunswick 2 Department of Economics, University of Birmingham 2 Econometric Society 2 European Central Bank 2 HWWA Institut für Wirtschaftsforschung 2 Institute for the Study of Labor (IZA) 2 Institute of Economic Research, Kyoto University 2
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Published in...
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CESifo Working Paper 73 CESifo working papers 61 Economics and finance working paper series 30 DIW Discussion Papers 28 Applied economics 19 CREATES Research Papers 17 Discussion Papers of DIW Berlin 16 Queen's Economics Department Working Paper 16 CESifo Working Paper Series 15 Discussion papers / Deutsches Institut für Wirtschaftsforschung 13 SFB 373 Discussion Paper 13 SFB 373 Discussion Papers 13 Working Papers / Economics Department, Queen's University 13 MPRA Paper 11 Economics letters 10 Studies in Nonlinear Dynamics & Econometrics 10 Empirical Economics 9 Tinbergen Institute Discussion Papers 9 Applied economics letters 8 Economics Working Papers / School of Economics and Management, University of Aarhus 8 Finance research letters 8 Physica A: Statistical Mechanics and its Applications 8 Research in international business and finance 8 Cowles Foundation Discussion Papers 7 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 7 Empirical economics : a quarterly journal of the Institute for Advanced Studies 7 Hannover Economic Papers (HEP) 7 International journal of finance & economics : IJFE 7 Journal of econometrics 7 Discussion paper / Tinbergen Institute 6 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 6 Econometric Institute Research Papers 6 SSE/EFI Working Paper Series in Economics and Finance 6 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 6 Tinbergen Institute Discussion Paper 6 Working Paper 6 Working Papers / Nottingham Trent University, Nottingham Business School, Economics Division 6 Working Papers in Economics 6 Econometric Institute Report 5 Econometric reviews 5
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Source
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ECONIS (ZBW) 393 RePEc 366 EconStor 191 BASE 15 Other ZBW resources 7 USB Cologne (business full texts) 1
Showing 751 - 760 of 973
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On the Robustness of Robustness Checks of the Environmental Kuznets Curve
Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - Fondazione ENI Enrico Mattei (FEEM) - 2006
Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...
Persistent link: https://www.econbiz.de/10005230865
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On the Robustness of Robustness Checks of the Environmental Kuznets Curve
Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - Dipartimento di Statistica, Università degli Studi di … - 2006
Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject of continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...
Persistent link: https://www.econbiz.de/10005260573
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LongMemory, Count Data, Time Series Modelling for Financial Application
Quoreshi, Shahiduzzaman - Institutionen för Nationalekonomi, Umeå Universitet - 2006
<p> that both series have a fractional integration property. …
Persistent link: https://www.econbiz.de/10005198001
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On the Robustness of Robustness Checks of the Environmental Kuznets Curve
Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - Dipartimento di Economia, Management e Metodi … - 2006
Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject of continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...
Persistent link: https://www.econbiz.de/10009324471
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Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
Andre, Christophe; Gil-Alana, Luis A.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
. This paper uses the framework of fractional integration to test the persistence of price-to-income and price-to-rent ratios …
Persistent link: https://www.econbiz.de/10010737581
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Long memory in US real output per capita
Caporale, Guglielmo; Gil-Alana, Luis - In: Empirical Economics 44 (2013) 2, pp. 591-611
This article analyses the long memory properties of quarterly real output per capita in the US (1948Q1–2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...
Persistent link: https://www.econbiz.de/10010845927
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Fractional integration versus level shifts: the case of realized asset correlations
Bertram, Philip; Kruse, Robinson; Sibbertsen, Philipp - In: Statistical Papers 54 (2013) 4, pp. 977-991
realized asset correlations and we investigate whether the observed persistence is (i) due to true long memory (i.e. fractional … integration) or (ii) artificially generated by some structural break processes. These two phenomena are difficult to be …
Persistent link: https://www.econbiz.de/10010848079
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The case of negative day-ahead electricity prices
Fanone, Enzo; Gamba, Andrea; Prokopczuk, Marcel - In: Energy Economics 35 (2013) C, pp. 22-34
In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In...
Persistent link: https://www.econbiz.de/10010868775
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Testing for a break in trend when the order of integration is unknown
Iacone, Fabrizio; Leybourne, Stephen J.; Robert Taylor, A.M. - In: Journal of Econometrics 176 (2013) 1, pp. 30-45
Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is...
Persistent link: https://www.econbiz.de/10011052199
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How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model
Andersson, Fredrik N.G.; Li, Yushu - Nationalekonomiska Institutionen, Ekonomihögskolan - 2013
AFRIMA model. Under the assumption that the central bankers control the long-run inflation rates, the fractional integration … target. Several estimators of the fractional integration order have been proposed in the literature. Grassi and Magistris …
Persistent link: https://www.econbiz.de/10010718625
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